SPDR Convertible Securities ETF (CWB)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 52% in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (112.1%)
• Compared with SPY (62.4%) in the period of the last 3 years, the total return, or increase in value of 31.4% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (16.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.8% of SPDR Convertible Securities ETF is smaller, thus worse.
• Compared with SPY (17.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.6% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of SPDR Convertible Securities ETF is 13.9%, which is smaller, thus better compared to the benchmark SPY (17.6%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 10.7% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside volatility of 9.9% of SPDR Convertible Securities ETF is lower, thus better.
• Looking at downside risk in of 7.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the Sharpe Ratio of 0.45 in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
• Compared with SPY (0.86) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.66 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.14) in the period of the last 5 years, the excess return divided by the downside deviation of 0.63 of SPDR Convertible Securities ETF is smaller, thus worse.
• Compared with SPY (1.3) in the period of the last 3 years, the excess return divided by the downside deviation of 0.96 is smaller, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of SPDR Convertible Securities ETF is 16 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Downside risk index is 4.29 , which is lower, thus better than the value of 5.31 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -29.9 days in the last 5 years of SPDR Convertible Securities ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -11.9 days, which is higher, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1095 days of SPDR Convertible Securities ETF is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 219 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 505 days of SPDR Convertible Securities ETF is higher, thus worse.
• Looking at average days below previous high in of 63 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).